Michael Sørensen

Michael Sørensen

Professor

ORCID: 0000-0001-7233-5377

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  1. Published

     Maximum likelihood estimation for integrated diffusion processes

    Sørensen, Michael & Baltazar-Larios, F., 2010, Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen. Chiarella, C. & Novikov, A. (eds.). Springer Science+Business Media, p. 407-423

    Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research

  2. Published

     Estimation for stochastic differential equations with a small diffusion coefficient

    Sørensen, Michael & Gloter, A., 2009, In: Stochastic Processes and Their Applications. 119, p. 679 - 699 21 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  3. Published

     Efficient estimation of transition rates between credit ratings from observations at discrete time points

    Sørensen, Michael & Bladt, M., 2009, In: Quantitative Finance. 9, p. 147 - 160 14 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  4. Published

     A simple estimator for discrete-time samples from affine stochastic delay differential equations

    Sørensen, Michael, 2010, In: Statistical Inference for Stochastic Processes : An International Journal devoted to Time Series Analysis and the Statistics of Continuous Time Processes and Dynamical Systems. 13, p. 125-132 8 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  5. Wind shear and hyperbolic distributions

    Barndorff-Nielsen, O., Jensen, J. L. & Sørensen, Michael, 1989, In: Boundary-Layer Meteorology. 49, 4, p. 417-431

    Research output: Contribution to journal › Journal article › Research › peer-review

  6. Published

    Toroidal Diffusions and Protein Structure Evolution

    Garcia Portugues, E., Golden, M., Sørensen, Michael, Mardia, K. V., Hamelryck, Thomas Wim & Hein, J., 2018, Applied Directional Statistics: Modern Methods and Case Studies. Ley, C. & Verdebout, H. (eds.). CRC Press, 34 p.

    Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review

  7. Published

    The vertical variation of particle speed and flux density inaeolian saltation: measurement and modeling

    Sørensen, Michael & Rasmussen, K. R., 2008, In: Journal of Geophysical Research - Oceans. 113

    Research output: Contribution to journal › Journal article › Research › peer-review

  8. The usefulness of tests for multivariate normality in physical anthropology

    Sørensen, Michael & Boldsen, J., 1985, In: Ossa : international journal of skeletal research. 9-11, p. 13-28

    Research output: Contribution to journal › Journal article › Research › peer-review

  9. The natural exponential family generated by a semimartingale

    Sørensen, Michael, 1996, Proceedings of the Fourth Russian-Finnish Symposium on Probability Theory and Mathematical Statistics. Shiryaev, A. N. (ed.). Moscow: TVP Science Publishers, p. 177-186

    Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review

  10. The fascination of sand

    Sørensen, Michael, Barndorff-Nielsen, O. E., Blæsild, P. & Jensen, J. L., 1985, A Celebration of Statistics. New York: Springer, p. 57-87

    Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review

  11. Published

    The Pearson diffusions: A class of statistically tractablediffusion processes

    Forman, Julie Lyng & Sørensen, Michael, 2008, In: Scandinavian Journal of Statistics. 35, p. 438 - 465

    Research output: Contribution to journal › Journal article › Research › peer-review

  12. Published

    Stock returns and hyperbolic distributions

    Küchler, U., Neumann, K., Sørensen, Michael & Streller, A., 1999, In: Mathematical and Computer Modelling. 29, 10-12, p. 1-15

    Research output: Contribution to journal › Journal article › Research › peer-review

  13. Stochastic Models of Sand Transport by Wind and Two Related Estimation Problems

    Sørensen, Michael, 1993, In: International Statistical Review. 61, 2, p. 245-255

    Research output: Contribution to journal › Journal article › Research › peer-review

  14. Published

    Statistical inference for discretely observed Markov jump processes

    Bladt, M. & Sørensen, Michael, 2005, In: Journal of The Royal Statistical Society Series B-statistical Methodology. 37, 3, p. 395-410

    Research output: Contribution to journal › Journal article › Research › peer-review

  15. Published

    Statistical inference for discrete-time samples from affine stochastic delay differential equations

    Küchler, U. & Sørensen, Michael, 2013, In: Bernoulli. 19, 2, p. 409 - 425

    Research output: Contribution to journal › Journal article › Research › peer-review

  16. Published

    Statistical Methods for Stochastic Differential Equations

    Sørensen, Michael (ed.), Kessler, M. (ed.) & Lindner, A. (ed.), 2012, CRC Press. 507 p. (Monographs on Statistics and Applied Probability, Vol. 124).

    Research output: Book/Report › Anthology › Research › peer-review

  17. Statistical Analysis of a Spatial Birth-and-Death Process Model with a View to Modelling Linear Dune Fields

    Møller, J. .. & Sørensen, Michael, 1994, In: Scandinavian Journal of Statistics. 21, 1, p. 1-19

    Research output: Contribution to journal › Journal article › Research › peer-review

  18. Published

    Some stationary processes in discretely and continuous time

    Barndorff-Nielsen, O., Jensen, J. L. & Sørensen, Michael, 1998, In: Advances in Applied Probability. 30, p. 989-1007

    Research output: Contribution to journal › Journal article › Research › peer-review

  19. Some asymptotic properties of quasi likelihood estimators for semimartingales

    Sørensen, Michael, 1989, Proceedings of the Fourth Prague Symposium on Asymptotic Statistics. Mandel, P. & Husková, M. (eds.). Prague: Charles University, p. 469-479

    Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review

  20. Published

    Small-diffusion asymptotics for discretely sampled stochastic differential equations

    Sørensen, Michael & Uchida, M., 2003, In: Bernoulli. 9 (6), p. 1051 - 1069

    Research output: Contribution to journal › Journal article › Research › peer-review

  21. Published

    Simulation of multivariate diffusion bridges

    Bladt, M., Finch, S. T. J. & Sørensen, Michael, 2016, In: Journal of the Royal Statistical Society, Series B (Statistical Methodology). 78, 2, p. 343–369

    Research output: Contribution to journal › Journal article › Research › peer-review

  22. Published

    Simulation of diffusion bridges and estimation for stochastic differential equatio

    Sørensen, Michael, 2021, Statistics of Stochastic Differential Equations on Manifolds and Stratified Spaces (hybrid meeting). Mathematisches Forschungsinstitut Oberwolfach, p. 8-9 (Oberwolfach Reports; No. 48, Vol. 2021).

    Research output: Chapter in Book/Report/Conference proceeding › Article in proceedings › Research

  23. Published

    Simplified estimating functions for diffusion models with a high-dimensional parameter

    Bibby, B. M. & Sørensen, Michael, 2001, In: Scandinavian Journal of Statistics. 28, 1, p. 99-112 14 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  24. Published

    Simple simulation of diffusion bridges with application to likelihood inference for diffusions

    Bladt, M. & Sørensen, Michael, 2014, In: Bernoulli. 20, 2, p. 645-675

    Research output: Contribution to journal › Journal article › Research › peer-review

  25. Published

    Probabilistic modeling of bed-load composition

    McEwan, I., Sørensen, Michael, Heald, J., Tait, S., Cunningham, G., Goring, D. & Willetts, B., 2004, In: Journal of Hydraulic Engineering (New York). 130, 2, p. 129-139

    Research output: Contribution to journal › Journal article › Research › peer-review

  26. Published

    Prediction-based estimation for diffusion models with high-frequency data

    Jorgensen, E. S. & Sørensen, Michael, 2021, In: Japanese Journal of Statistics and Data Science. 4, 1, p. 483-511

    Research output: Contribution to journal › Journal article › Research › peer-review

  27. Published

    Prediction-based estimating functions: Review and new developments

    Sørensen, Michael, 2011, In: Brazilian Journal of Probability and Statistics. 25, 3, p. 362-391

    Research output: Contribution to journal › Journal article › Research › peer-review

  28. Published

    Prediction-based estimating functions

    Sørensen, Michael, 2000, In: Econometrics Journal. 3, p. 123-147

    Research output: Contribution to journal › Journal article › Research › peer-review

  29. Published

    Parametric inference for discretely sampled stochastic differential equations

    Sørensen, Michael, 2009, Handbook of Financial Time Series. Andersen, T. G., Davis, R. A., Kreiss, J-P. & Mikosch, T. (eds.). Heidelberg: Springer, p. 531 - 553 23 p.

    Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research

  30. Parametric Modelling of Turbulence

    Barndorff-Nielsen, O., Jensen, J. L. & Sørensen, Michael, 1990, In: PHILOSOPHICAL TRANSACTIONS OF THE ROYAL SOCIETY OF LONDON SERIES A-MATHEMATICAL AND PHYSICAL SCIENCES. 332, 1627, p. 439-455

    Research output: Contribution to journal › Journal article › Research › peer-review

  31. Published

    Ornstein-Uhlenbeck Process

    Sørensen, Michael, 2004, Encyclopedia of actuarial science. Vol 3 (O-Z) ed. Wiley, p. 1229-1230

    Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research

  32. On the temporal-spatial variation of sediment size distributions

    Sørensen, Michael & Barndorff-Nielsen, O. E., 1991, In: Acta Mechanica. Suppl. 2, p. 23-35

    Research output: Contribution to journal › Journal article › Research › peer-review

  33. On the relation between size and distance travelled for wind driven sand grains - results and discussion of a pilot experiment using coloured sand.

    Sørensen, Michael, Barndorff-Nielsen, O. & Jensen, J. L., 1982, Mechanics of Sediment Transport. Sumer, B. M. & Müller, A. (eds.). Rotterdam: Balkema Publishers, p. 55-64

    Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review

  34. Published

    On the rate of aeolian sand transport

    Sørensen, Michael, 2004, In: Geomorphology. 59, 1, p. 53-62

    Research output: Contribution to journal › Journal article › Research › peer-review

  35. Published

    On the rate of aeolian sand transport

    Sørensen, Michael, 2001, Actes du 2eme Atelier International. Formation et Migration des Dunes. Moctar, A. O. E. (ed.). <Forlag uden navn>, p. 56-60

    Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research

  36. On the mathematical modelling of aeolian saltation

    Sørensen, Michael, Barndorff-Nielsen, O. E. & Jensen, J. L., 1982, Mechanics of Sediment Transport. Sumer, B. M. & Müller, A. (eds.). Rotterdam: Balkema Publishers, p. 65-72

    Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review

  37. On the effect of time variability of the wind on rates of aeolian sand transport

    Sørensen, Michael, 1997, In: Aarhus Geoscience. 7, p. 73-77

    Research output: Contribution to journal › Journal article › Research › peer-review

  38. On the effect of mid-air collisions on aeolian saltation

    Sørensen, Michael & McEwan, I., 1996, In: Sedimentology. 43, 1½, p. 66-76

    Research output: Contribution to journal › Journal article › Research › peer-review

  39. Published

    On the Size Distribution of Sand

    Sørensen, Michael, 2006, Department of Applied Mathematics and Statistics / University of Copenhagen, p. 1-11.

    Research output: Working paper › Research

  40. Published

    On the Size Distribution of Sand

    Sørensen, Michael, 2016, The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen. Podolskij, M., Stelzer, R., Thorbjørnsen, S. & Veraart, A. E. D. (eds.). Springer Science+Business Media, p. 1-13

    Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review

  41. On the Incubation Time Distribution and the Danish AIDS Data

    Boldsen, J. L., Jensen, J. L., Søgaard, J. & Sørensen, Michael, 1988, In: Journal of the Royal Statistical Society - Series A. 151, 1, p. 42-43

    Research output: Contribution to journal › Journal article › Research › peer-review

  42. On quasi likelihood for semimartingales

    Sørensen, Michael, 1990, In: Stochastic Processes and Their Applications. 35, 2, p. 331-346

    Research output: Contribution to journal › Journal article › Research › peer-review

  43. On estimation for discretely observed diffusions: A review

    Sørensen, Michael & Bibby, B. M., 1996, In: Theory of Stochastic Processes. 2, p. 49-56

    Research output: Contribution to journal › Journal article › Research › peer-review

  44. Published

    On comparison of stopping times in sequential procedures for exponential families of stochastic processes.

    Sørensen, Michael, 1998, In: Scandinavian Journal of Statistics. 25, 2, p. 331-343

    Research output: Contribution to journal › Journal article › Research › peer-review

  45. Published

    On asymptotics of estimating functions

    Sørensen, Michael, 1999, In: Brazilian Journal of Probability and Statistics. 13, p. 111-136

    Research output: Contribution to journal › Journal article › Research › peer-review

  46. Published

    On Time-Reversibility and Estimating Functions for Markov Processes

    Kessler, M. & Sørensen, Michael, 2005, In: Statistical Inference for Stochastic Processes : An International Journal devoted to Time Series Analysis and the Statistics of Continuous Time Processes and Dynamical Systems. 8, 1, p. 95-107

    Research output: Contribution to journal › Journal article › Research › peer-review

  47. On Sequential Maximum Likelihood Estimation for Exponential Families of Stochastic Processes

    Sørensen, Michael, 1986, In: International Statistical Review. 54, 2, p. 191-210

    Research output: Contribution to journal › Journal article › Research › peer-review

  48. On Maximum Likelihood Estimation in Randomly Stopped Diffusion-Type Processes

    Sørensen, Michael, 1983, In: International Statistical Review. 51, 1, p. 93-110

    Research output: Contribution to journal › Journal article › Research › peer-review

  49. On Exponential Families of Markov Processes

    Küchler, U. & Sørensen, Michael, 1998, In: Journal of Statistical Planning and Inference. 66, 1, p. 3-19

    Research output: Contribution to journal › Journal article › Research › peer-review

  50. On Effects of Discretization on Estimators of Drift Parameters for Diffusion Processes

    KLOEDEN, P. E., PLATEN, E., SCHURZ, H. & Sørensen, Michael, 1996, In: Journal of Applied Probability. 33, 4, p. 1061-1076

    Research output: Contribution to journal › Journal article › Research › peer-review

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